Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0305
Annualized Std Dev 0.3084
Annualized Sharpe (Rf=0%) 0.0989

Row

Daily Return Statistics

Close
Observations 3852.0000
NAs 1.0000
Minimum -0.1694
Quartile 1 -0.0075
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0087
Maximum 0.1496
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0194
Skewness -0.0620
Kurtosis 10.2993

Downside Risk

Close
Semi Deviation 0.0139
Gain Deviation 0.0144
Loss Deviation 0.0154
Downside Deviation (MAR=210%) 0.0182
Downside Deviation (Rf=0%) 0.0138
Downside Deviation (0%) 0.0138
Maximum Drawdown 0.7437
Historical VaR (95%) -0.0294
Historical ES (95%) -0.0475
Modified VaR (95%) -0.0279
Modified ES (95%) -0.0378
From Trough To Depth Length To Trough Recovery
2007-06-22 2008-11-20 2020-12-04 -0.7437 3383 359 3024
2006-04-20 2006-06-14 2006-10-04 -0.1706 117 39 78
2007-02-08 2007-03-05 2007-06-01 -0.1170 79 17 62
2021-01-13 2021-01-27 2021-02-08 -0.0633 18 10 8
2006-03-16 2006-03-21 2006-04-18 -0.0497 23 4 19

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA 1.9 -0.6 1.2
2006 -0.3 1 0.3 -2.3 1 0.1 -1.2 0.3 0 -2 -1.2 -0.4 -4.7
2007 1.3 -0.8 -0.3 -0.3 0.4 -1.5 -1 2 2.8 -3.7 0.5 0.7 0
2008 1.4 -3.4 6.7 4.6 -0.6 -0.6 -0.4 -0.2 3.5 4.2 -16.9 4 0.1
2009 -2.6 -3.7 0.9 0.6 1.3 0.1 0.3 -3.7 -3.2 -3.6 0.4 -0.3 -12.8
2010 1.4 0.7 1 -1.7 -2.3 -0.8 -0.8 3.6 1 -0.1 2.7 -0.1 4.3
2011 1.7 -1.7 1.7 -0.1 -4.2 1.9 -0.3 -2.6 -4.9 -5.3 -1.4 -0.3 -14.7
2012 2.3 1.1 0.6 0.1 -3.5 2.8 -1.6 0.5 0.6 2 -0.3 1.5 6.1
2013 1 -0.3 -1.5 -2.3 -1.6 0.7 2 -1.3 0.9 -0.1 0.2 0.6 -1.7
2014 -1.2 0.2 1 0 -0.3 0.5 -0.9 0.5 -1.7 2.2 -1.1 -0.1 -1
2015 -1.4 -1.2 0.1 -0.3 -0.1 0.3 0.4 -3.9 -0.4 -0.1 0.6 0 -6
2016 -0.5 3.7 0.9 -0.7 -0.1 -0.5 -0.6 -1 1.5 -0.6 1.1 0.1 3.2
2017 0.5 2 0.1 -0.2 2.4 0.1 0.3 0.5 0.5 -0.1 0.1 0.1 6.5
2018 1.5 -3 1.3 -1.2 0.8 0 -1.6 0.2 -0.2 0.3 0.5 1 -0.5
2019 0.8 1 2.6 -0.8 -1.8 0.6 -2.4 0.6 -3.5 1.4 -0.3 -0.1 -2.1
2020 -1.6 -3.2 -4.2 -3 1.6 -0.8 0 0.5 0.2 -0.6 1.8 0.9 -8.3
2021 2.9 3.2 0.2 NA NA NA NA NA NA NA NA NA 6.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-11-15  53.8 SPY    123. -0.0036    0.0083   0.0347   0.0085   0.0455    0.358  -0.123  GLD    46.7  0.0009   0.0163
2 2005-11-17  54.5 SPY    125.  0.00930   0.0105   0.0406   0.0177   0.0497    0.378  -0.0877 GLD    48.5  0.0147   0.043 
3 2005-11-18  54.6 SPY    125.  0.0039    0.0111   0.0634   0.0217   0.0657    0.385  -0.077  GLD    48.5 -0.0004   0.0355
4 2005-11-21  55.4 SPY    126.  0.005     0.0167   0.0646   0.0288   0.0659    0.362  -0.0961 GLD    49.0  0.0109   0.0508
5 2005-11-22  55.6 SPY    126.  0.0043    0.0248   0.0529   0.0425   0.0689    0.342  -0.095  GLD    49.3  0.0067   0.057 
6 2005-11-23  56.1 SPY    127.  0.00580   0.0287   0.0611   0.0447   0.0725    0.360  -0.0753 GLD    49.2 -0.0034   0.0287
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart